Encyclopedia of Quantitative Finance 2010
DOI: 10.1002/9780470061602.eqf12011
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Sparse Grids

Abstract: Sparse grids are a numerical approach to solve multidimensional problems, such as multivariate partial differential equations and integrals. They are able to overcome the curse of dimension to a certain extent.

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Cited by 19 publications
(19 citation statements)
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“…Possible schemes for choosing sample points are, e.g., low discrepancy points like Halton points 31 or points that are suitable for polynomial approximations like Chebyshev points. Sparse grid methods 32 combine results computed on a particular sequence of structured grids in order to get the final approximation. This type of technique has also been used together with RBFs 33 .…”
Section: Generation Of Grid Pointsmentioning
confidence: 99%
“…Possible schemes for choosing sample points are, e.g., low discrepancy points like Halton points 31 or points that are suitable for polynomial approximations like Chebyshev points. Sparse grid methods 32 combine results computed on a particular sequence of structured grids in order to get the final approximation. This type of technique has also been used together with RBFs 33 .…”
Section: Generation Of Grid Pointsmentioning
confidence: 99%
“…to mention all of them. The reader can see the surveys in [6,30,24] and the references therein. For recent further developments and results see in [29,27,28,22,4].…”
Section: Introductionmentioning
confidence: 99%
“…In sampling recovery and numerical integration, a classical model in attempt to overcome it which has been widely studied, is to impose certain mixed smoothness or more general anisotropic smoothness conditions on the function to be approximated, and to employ sparse grids for construction of approximation algorithms for sampling recovery or integration. We refer the reader to [6,24,34,35] for surveys and the references therein on various aspects of this direction.…”
Section: Introductionmentioning
confidence: 99%
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“…It can be an efficient tool in some high-dimensional approximation problems, especially in applications ones. Thus, one of the important bases for sparse grid high-dimensional approximations having various applications, are the Faber functions (hat functions) which are piecewise linear B-splines of second order [4,25,27,26,28,24,3]. The representation by Faber basis can be obtained by the B-spline quasi-interpolation (see, e. g., [17]).…”
Section: Introductionmentioning
confidence: 99%